Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2004 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 30.00%
VIMAX Vanguard Mid Cap Index Admiral 70.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
RSP Invesco S&P 500 Equal Weight ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$30,748 9.02% 15.56%36.32%-40.34%-52.84% 0.560.810.99
Portfolio 2$10,000$30,749 9.02% 16.38%44.64%-40.07%-55.58% 0.540.800.98
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 500 Index Admiral (VFIAX)Vanguard Mid Cap Index Admiral (VIMAX)Invesco S&P 500 Equal Weight ETF (RSP)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20043.26%17.54%16.48%$11,754$11,64810.82%20.42%16.48%
20053.42%11.29%7.41%$13,081$12,5114.87%14.04%7.41%
20062.54%14.31%15.46%$14,953$14,44515.75%13.69%15.46%
20074.08%5.96%0.90%$15,844$14,5755.47%6.17%0.90%
20080.09%-40.34%-40.07%$9,453$8,735-36.97%-41.78%-40.07%
20092.72%36.32%44.64%$12,886$12,63426.62%40.48%44.64%
20101.50%22.43%21.37%$15,776$15,33415.05%25.59%21.37%
20112.96%-0.75%-0.67%$15,658$15,2312.08%-1.97%-0.67%
20121.74%15.98%17.16%$18,161$17,84515.96%15.99%17.16%
20131.50%34.31%35.54%$24,391$24,18632.33%35.15%35.54%
20140.76%13.73%14.06%$27,739$27,58813.64%13.76%14.06%
20150.73%-0.53%-2.66%$27,593$26,8541.36%-1.34%-2.66%
20162.07%11.43%14.50%$30,748$30,74911.93%11.22%14.50%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Admiral (VFIAX)Vanguard Mid Cap Index Admiral (VIMAX)Invesco S&P 500 Equal Weight ETF (RSP)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200412.37%2.37%$10,237$10,2371.82%2.60%2.37%
200421.95%1.90%$10,437$10,4321.39%2.19%1.90%
20043-0.56%-0.68%$10,378$10,361-1.52%-0.16%-0.68%
20044-3.33%-2.36%$10,033$10,117-1.57%-4.06%-2.36%
200452.25%1.75%$10,258$10,2941.37%2.62%1.75%
200462.43%3.04%$10,508$10,6061.93%2.64%3.04%
20047-4.18%-4.58%$10,069$10,121-3.31%-4.54%-4.58%
200480.15%-0.10%$10,084$10,1110.40%0.05%-0.10%
200492.99%2.57%$10,386$10,3701.08%3.81%2.57%
2004102.52%2.37%$10,647$10,6161.52%2.93%2.37%
2004116.16%5.79%$11,304$11,2324.05%7.03%5.79%
2004123.98%3.71%$11,754$11,6483.40%4.22%3.71%
20051-2.73%-3.08%$11,433$11,289-2.44%-2.86%-3.08%
200523.25%2.13%$11,804$11,5292.09%3.75%2.13%
20053-1.33%-1.36%$11,647$11,372-1.76%-1.15%-1.36%
20054-3.05%-3.20%$11,291$11,009-1.90%-3.54%-3.20%
200554.59%4.50%$11,810$11,5043.18%5.19%4.50%
200562.08%1.54%$12,056$11,6810.14%2.90%1.54%
200574.85%5.11%$12,641$12,2773.72%5.31%5.11%
20058-0.50%-0.87%$12,577$12,170-0.91%-0.33%-0.87%
200591.22%0.50%$12,730$12,2300.80%1.38%0.50%
200510-2.77%-2.68%$12,377$11,903-1.67%-3.21%-2.68%
2005114.69%4.55%$12,957$12,4443.77%5.05%4.55%
2005120.95%0.53%$13,081$12,5110.03%1.32%0.53%
200614.69%4.03%$13,695$13,0142.65%5.56%4.03%
20062-0.65%0.34%$13,606$13,0580.27%-1.03%0.34%
200632.46%2.10%$13,941$13,3321.24%2.98%2.10%
200641.12%0.86%$14,098$13,4471.34%1.03%0.86%
20065-3.46%-2.97%$13,611$13,048-2.89%-3.69%-2.97%
20066-0.09%-0.28%$13,599$13,0110.14%-0.18%-0.28%
20067-1.44%-1.33%$13,404$12,8390.61%-2.30%-1.33%
200682.13%2.74%$13,690$13,1902.37%2.03%2.74%
200691.91%2.39%$13,951$13,5062.58%1.62%2.39%
2006103.58%3.76%$14,450$14,0143.25%3.72%3.76%
2006113.25%2.50%$14,920$14,3641.90%3.84%2.50%
2006120.22%0.57%$14,953$14,4451.40%-0.28%0.57%
200713.01%2.41%$15,403$14,7931.51%3.66%2.41%
20072-0.56%-0.47%$15,317$14,723-1.97%0.03%-0.47%
200730.95%0.82%$15,462$14,8441.12%0.87%0.82%
200743.89%4.41%$16,063$15,4984.42%3.67%4.41%
200754.09%3.24%$16,719$16,0003.48%4.34%3.24%
20076-1.86%-1.86%$16,408$15,703-1.66%-1.94%-1.86%
20077-3.81%-4.51%$15,784$14,994-3.08%-4.11%-4.51%
200780.75%0.08%$15,902$15,0071.50%0.44%0.08%
200793.13%2.49%$16,401$15,3803.74%2.88%2.49%
2007101.69%1.12%$16,678$15,5521.59%1.73%1.12%
200711-4.78%-4.65%$15,881$14,829-4.18%-5.03%-4.65%
200712-0.23%-1.72%$15,844$14,575-0.70%-0.03%-1.72%
20081-6.37%-4.30%$14,834$13,948-6.01%-6.53%-4.30%
20082-2.55%-3.01%$14,456$13,528-3.24%-2.26%-3.01%
20083-1.57%-1.86%$14,229$13,276-0.43%-2.05%-1.86%
200846.18%5.72%$15,109$14,0364.87%6.75%5.72%
200853.47%2.65%$15,632$14,4081.29%4.39%2.65%
20086-7.84%-9.84%$14,407$12,991-8.43%-7.59%-9.84%
20087-3.02%-0.50%$13,972$12,925-0.82%-3.92%-0.50%
200881.50%2.96%$14,182$13,3081.45%1.53%2.96%
20089-11.73%-10.91%$12,519$11,856-8.90%-12.92%-10.91%
200810-20.35%-20.91%$9,971$9,377-16.78%-21.93%-20.91%
200811-8.54%-9.63%$9,120$8,474-7.16%-9.18%-9.63%
2008123.65%3.08%$9,453$8,7351.06%4.89%3.08%
20091-7.42%-8.35%$8,751$8,006-8.41%-6.99%-8.35%
20092-9.90%-11.22%$7,885$7,108-10.64%-9.59%-11.22%
200938.88%10.26%$8,585$7,8378.78%8.92%10.26%
2009412.80%18.69%$9,684$9,3029.56%14.16%18.69%
200954.56%6.46%$10,126$9,9035.63%4.13%6.46%
20096-0.24%-1.20%$10,102$9,7840.23%-0.43%-1.20%
200978.58%9.19%$10,969$10,6837.58%8.99%9.19%
200984.58%5.65%$11,471$11,2863.61%4.97%5.65%
200995.52%5.29%$12,104$11,8833.73%6.23%5.29%
200910-3.67%-3.70%$11,660$11,443-1.86%-4.37%-3.70%
2009115.25%5.54%$12,272$12,0776.00%4.95%5.54%
2009125.01%4.61%$12,886$12,6341.95%6.24%4.61%
20101-3.57%-3.31%$12,426$12,216-3.59%-3.56%-3.31%
201024.57%4.19%$12,995$12,7273.09%5.21%4.19%
201036.76%7.22%$13,874$13,6466.03%7.07%7.22%
201043.02%2.65%$14,292$14,0081.59%3.61%2.65%
20105-7.50%-7.37%$13,220$12,976-8.00%-7.30%-7.37%
20106-5.90%-6.31%$12,439$12,158-5.23%-6.17%-6.31%
201076.92%7.35%$13,300$13,0527.01%6.88%7.35%
20108-4.47%-4.76%$12,705$12,431-4.52%-4.46%-4.76%
2010910.12%10.19%$13,991$13,6988.93%10.61%10.19%
2010103.98%3.56%$14,547$14,1863.81%4.05%3.56%
2010111.56%0.82%$14,773$14,3020.01%2.18%0.82%
2010126.79%7.21%$15,776$15,3346.68%6.83%7.21%
201112.30%2.11%$16,140$15,6582.37%2.28%2.11%
201123.85%4.02%$16,761$16,2873.42%4.03%4.02%
201131.21%0.83%$16,964$16,4220.03%1.72%0.83%
201142.80%3.13%$17,440$16,9362.96%2.74%3.13%
20115-0.63%-0.61%$17,331$16,832-1.14%-0.41%-0.61%
20116-2.17%-1.80%$16,955$16,529-1.66%-2.38%-1.80%
20117-3.05%-3.62%$16,438$15,931-2.04%-3.47%-3.62%
20118-6.54%-6.35%$15,363$14,919-5.43%-7.01%-6.35%
20119-9.02%-9.05%$13,977$13,569-7.04%-9.89%-9.05%
20111012.48%13.07%$15,721$15,34210.93%13.17%13.07%
201111-0.52%-0.88%$15,639$15,208-0.22%-0.65%-0.88%
2011120.12%0.16%$15,658$15,2311.03%-0.28%0.16%
201215.94%5.68%$16,589$16,0974.47%6.57%5.68%
201224.34%4.01%$17,309$16,7424.32%4.35%4.01%
201232.37%2.32%$17,718$17,1303.29%1.98%2.32%
20124-0.61%-0.75%$17,610$17,002-0.63%-0.60%-0.75%
20125-6.85%-6.99%$16,404$15,813-6.01%-7.21%-6.99%
201262.99%3.86%$16,894$16,4224.12%2.50%3.86%
201270.43%0.12%$16,966$16,4421.38%0.01%0.12%
201282.82%3.07%$17,444$16,9462.25%3.07%3.07%
201292.23%2.51%$17,832$17,3722.58%2.07%2.51%
201210-1.37%-0.82%$17,588$17,229-1.85%-1.15%-0.82%
2012111.24%1.28%$17,806$17,4490.58%1.53%1.28%
2012121.99%2.27%$18,161$17,8450.91%2.46%2.27%
201316.24%6.51%$19,295$19,0065.18%6.70%6.51%
201321.35%0.97%$19,556$19,1901.35%1.35%0.97%
201334.19%4.36%$20,376$20,0283.75%4.38%4.36%
201341.79%1.69%$20,740$20,3671.92%1.73%1.69%
201351.97%2.69%$21,149$20,9152.33%1.82%2.69%
20136-1.22%-1.23%$20,891$20,657-1.35%-1.17%-1.23%
201375.47%5.63%$22,034$21,8205.09%5.64%5.63%
20138-2.61%-2.92%$21,459$21,183-2.90%-2.49%-2.92%
201394.12%4.11%$22,343$22,0543.13%4.53%4.11%
2013103.74%4.28%$23,179$22,9984.59%3.39%4.28%
2013112.32%2.22%$23,715$23,5093.04%2.01%2.22%
2013122.85%2.88%$24,391$24,1862.53%2.98%2.88%
20141-2.65%-2.96%$23,744$23,470-3.46%-2.31%-2.96%
201425.58%5.34%$25,070$24,7234.57%6.01%5.34%
201430.05%0.61%$25,082$24,8730.84%-0.28%0.61%
20144-0.37%0.38%$24,989$24,9680.74%-0.84%0.38%
201452.32%2.16%$25,569$25,5072.34%2.31%2.16%
201462.72%2.86%$26,265$26,2362.06%3.01%2.86%
20147-2.18%-2.33%$25,693$25,624-1.38%-2.52%-2.33%
201484.52%4.20%$26,855$26,7014.00%4.75%4.20%
20149-2.66%-2.58%$26,140$26,011-1.40%-3.20%-2.58%
2014103.13%3.02%$26,958$26,7972.43%3.44%3.02%
2014112.78%2.66%$27,709$27,5112.69%2.82%2.66%
2014120.11%0.28%$27,739$27,588-0.26%0.27%0.28%
20151-2.28%-2.92%$27,108$26,781-3.00%-1.97%-2.92%
201525.94%5.73%$28,717$28,3155.74%6.02%5.73%
20153-0.24%-0.96%$28,650$28,043-1.59%0.34%-0.96%
20154-0.01%0.41%$28,646$28,1570.95%-0.41%0.41%
201551.12%0.72%$28,968$28,3611.28%1.06%0.72%
20156-1.84%-2.27%$28,435$27,718-1.92%-1.81%-2.27%
201571.50%0.96%$28,861$27,9852.09%1.25%0.96%
20158-5.39%-5.46%$27,305$26,457-6.04%-5.12%-5.46%
20159-3.31%-3.01%$26,401$25,660-2.48%-3.66%-3.01%
2015106.71%6.99%$28,171$27,4538.43%5.97%6.99%
2015110.29%0.30%$28,252$27,5360.30%0.28%0.30%
201512-2.33%-2.48%$27,593$26,854-1.58%-2.66%-2.48%
20161-6.70%-5.56%$25,745$25,362-4.97%-7.44%-5.56%
201620.81%0.99%$25,954$25,614-0.14%1.23%0.99%
201637.61%7.98%$27,929$27,6586.78%7.97%7.98%
201640.49%1.25%$28,067$28,0030.39%0.54%1.25%
201651.83%1.36%$28,581$28,3841.79%1.85%1.36%
201660.03%-0.06%$28,589$28,3650.26%-0.07%-0.06%
201674.35%4.14%$29,833$29,5413.68%4.64%4.14%
201680.15%0.16%$29,879$29,5870.14%0.16%0.16%
201690.26%0.10%$29,956$29,6170.02%0.36%0.10%
201610-2.70%-2.44%$29,146$28,894-1.83%-3.08%-2.44%
2016114.40%5.24%$30,427$30,4073.70%4.69%5.24%
2016121.05%1.13%$30,748$30,7491.98%0.66%1.13%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value15.77%39.48%
Large-cap Growth25.13%5.77%
Mid-cap Value23.85%20.80%
Mid-cap Growth29.11%24.12%
Small-cap Value0.00%1.67%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets3.79%0.97%
Emerging Markets1.77%2.91%
REITs0.58%4.28%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.16%97.86%
Style analysis is based on monthly returns from Apr 2005 to Dec 2016 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFIAXVanguard 500 Index AdmiralLarge Blend0.04%30.00%$5,64825.92%
VIMAXVanguard Mid Cap Index AdmiralMid-Cap Blend0.05%70.00%$15,09974.08%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
RSPInvesco S&P 500 Equal Weight ETFLarge Blend0.20%100.00%$20,749100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/04/2019. (c) 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.83%0.84%
Arithmetic Mean (annualized)10.36%10.50%
Geometric Mean (monthly)0.72%0.72%
Geometric Mean (annualized)9.02%9.02%
Volatility (monthly)4.49%4.73%
Volatility (annualized)15.56%16.38%
Downside Deviation (monthly)3.07%3.15%
Max. Drawdown-52.84%-55.58%
US Market Correlation0.990.98
Beta(*)1.071.13
Alpha (annualized)0.44%0.11%
R297.58%96.68%
Sharpe Ratio0.560.54
Sortino Ratio0.810.80
Treynor Ratio (%)8.117.85
Calmar Ratio0.720.79
Active Return0.97%0.97%
Tracking Error2.64%3.48%
Information Ratio0.370.28
Skewness-0.84-0.52
Excess Kurtosis2.953.57
Historical Value-at-Risk (5%)-7.43%-7.51%
Analytical Value-at-Risk (5%)-6.54%-6.94%
Conditional Value-at-Risk (5%)-10.70%-11.42%
Upside Capture Ratio (%)109.97111.34
Downside Capture Ratio (%)106.55108.65
Safe Withdrawal Rate10.69%10.33%
Perpetual Withdrawal Rate6.35%6.35%
Positive Periods99 out of 156 (63.46%)100 out of 156 (64.10%)
Gain/Loss Ratio0.930.90
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-52.72%-54.30%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-52.84%
2May 2011Sep 20115 monthsMar 20126 months11 months-19.86%
3Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-11.13%
4Apr 2012May 20122 monthsSep 20124 months6 months-7.42%
5May 2006Jul 20063 monthsOct 20063 months6 months-4.92%
6Mar 2005Apr 20052 monthsMay 20051 month3 months-4.34%
7Jul 2004Jul 20041 monthOct 20043 months4 months-4.18%
8Mar 2004Apr 20042 monthsJun 20042 months4 months-3.87%
9Oct 2005Oct 20051 monthNov 20051 month2 months-2.77%
10Jan 2005Jan 20051 monthFeb 20051 month2 months-2.73%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-55.58%
2May 2011Sep 20115 monthsMar 20126 months11 months-19.88%
3Jun 2015Jan 20168 monthsMay 20164 months1 year-10.58%
4Apr 2012May 20122 monthsSep 20124 months6 months-7.69%
5Jan 2005Apr 20054 monthsJun 20052 months6 months-5.49%
6Jul 2004Aug 20042 monthsOct 20042 months4 months-4.67%
7May 2006Jul 20063 monthsSep 20062 months5 months-4.52%
8Aug 2005Oct 20053 monthsNov 20051 month4 months-3.05%
9Mar 2004Apr 20042 monthsJun 20042 months4 months-3.02%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.96%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFIAXVanguard 500 Index Admiral7.73%13.79%32.33%-36.97%-50.92%0.520.761.00
VIMAXVanguard Mid Cap Index Admiral9.53%16.52%40.48%-41.78%-54.06%0.560.820.97
RSPInvesco S&P 500 Equal Weight ETF9.02%16.38%44.64%-40.07%-55.58%0.540.800.98

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFIAXVIMAXRSPPortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral-0.950.970.980.97
VIMAXVanguard Mid Cap Index Admiral0.95-0.981.000.98
RSPInvesco S&P 500 Equal Weight ETF0.970.98-0.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral$5,648
VIMAXVanguard Mid Cap Index Admiral$15,099
RSPInvesco S&P 500 Equal Weight ETF$20,749

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFIAXVanguard 500 Index Admiral25.92%
VIMAXVanguard Mid Cap Index Admiral74.08%
RSPInvesco S&P 500 Equal Weight ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.90%36.32%-40.34%11.09%44.64%-40.07%
3 years9.06%21.00%-10.26%9.15%21.90%-11.29%
5 years8.00%20.87%-1.12%8.31%22.59%-2.67%
7 years8.72%16.54%4.18%9.08%17.40%3.91%
10 years8.38%9.33%7.48%8.51%9.23%7.85%
Result statistics are based on annualized rolling returns over full calendar year periods